The Allstate Preferred Stock Market Value
| ALL-PJ Preferred Stock | 27.27 0.27 1.00% |
| Symbol | Allstate |
Allstate 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Allstate's preferred stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Allstate.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in Allstate on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding The Allstate or generate 0.0% return on investment in Allstate over 720 days.
Allstate Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Allstate's preferred stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess The Allstate upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.602 | |||
| Information Ratio | (0.20) | |||
| Maximum Drawdown | 2.07 | |||
| Value At Risk | (0.89) | |||
| Potential Upside | 0.7348 |
Allstate Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Allstate's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Allstate's standard deviation. In reality, there are many statistical measures that can use Allstate historical prices to predict the future Allstate's volatility.| Risk Adjusted Performance | 0.0549 | |||
| Jensen Alpha | 0.0387 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.16) | |||
| Treynor Ratio | (0.38) |
Allstate Backtested Returns
Allstate secures Sharpe Ratio (or Efficiency) of 0.0791, which signifies that the company had a 0.0791% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for The Allstate, which you can use to evaluate the volatility of the firm. Please confirm Allstate's Risk Adjusted Performance of 0.0549, mean deviation of 0.3795, and Semi Deviation of 0.4448 to double-check if the risk estimate we provide is consistent with the expected return of 0.0389%. Allstate has a performance score of 6 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.0767, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Allstate are expected to decrease at a much lower rate. During the bear market, Allstate is likely to outperform the market. Allstate right now shows a risk of 0.49%. Please confirm Allstate treynor ratio, expected short fall, and the relationship between the jensen alpha and potential upside , to decide if Allstate will be following its price patterns.
Auto-correlation | 0.60 |
Good predictability
The Allstate has good predictability. Overlapping area represents the amount of predictability between Allstate time series from 12th of December 2022 to 7th of December 2023 and 7th of December 2023 to 1st of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Allstate price movement. The serial correlation of 0.6 indicates that roughly 60.0% of current Allstate price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.6 | |
| Spearman Rank Test | 0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
Allstate lagged returns against current returns
Autocorrelation, which is Allstate preferred stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Allstate's preferred stock expected returns. We can calculate the autocorrelation of Allstate returns to help us make a trade decision. For example, suppose you find that Allstate has exhibited high autocorrelation historically, and you observe that the preferred stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Allstate regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Allstate preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Allstate preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Allstate preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Allstate Lagged Returns
When evaluating Allstate's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Allstate preferred stock have on its future price. Allstate autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Allstate autocorrelation shows the relationship between Allstate preferred stock current value and its past values and can show if there is a momentum factor associated with investing in The Allstate.
Regressed Prices |
| Timeline |
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